|
PureBytes Links
Trading Reference Links
|
There's an article in the July 98 issue of TASC on developing systems where
the author considers how valid a system is to be just as important as how
successful a system is. He checks things such as standard deviation, largest
gain, max drawdown, etc. to see if a few wildly successful trades distort the
overall percentage gains.
In a message dated 98-09-16 11:03:40 EDT, magnus@xxxxxxxxxxx writes:
> Can some of the more experience systems developer answer a few questions?
>
> Of all the criteria on the systems report in TS, what would you consider as
> an important criteria in developing a trading system? And what would you
> consider as acceptable numbers for the following:
>
> 1) Percentage of winning trades?
> 2) Ratio of Avg. Win/Loss?
> 3) Profit Factor?
> 4) Ratio Largest Win/Largest Loss?
>
> I know that some people consider a smooth equity curve as a good criteria
> but it's hard to see it in TS. I've been told that a Sharpe ratio is also a
> good criteria but that's not in the indicator library. And I couldn't get
> the one Mark Brown posted the other day to work. I've also looked at the K
> Ratio from Lars Kestner but that's not widely followed and there's few
> reports/articles on it. There's the return retracement in the Portfolio
> Maximizer but I can't get that to work on intraday trading systems.
>
> Any answers would be helpful.
>
|